Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Program: Kick-off-Workshop, September 09 - 12, 2008
Tue, September 09, 2008
09:30-10:20Wim SchoutensJump Driven Prepayment and Default Models for LCDS, ABS and portfolios of LCDSs
10:50-11:40Ralf KornOptimal leverage strategies for a CDPO
11:40-15:00Lunch Break
15:00-15:50Thaleia ZariphopoulouPortfolio choice under space-time monotone performance criteria
16:20-17:10Manfred DeistlerGeneralized linear dynamic factor models - a structure theory
Wed, September 10, 2008
09:30-10:20Jean-Pierre FouqueMultiname and Multiscale Default Modeling
10:50-11:40Claudia KlüppelbergOperational Risk and Pareto Levy copulas
12:10-13:00Xunyu ZhouA Universal Portfolio Choice Model in Continuous Time
Thu, September 11, 2008
09:30-10:20Damir FilipovicDynamic CDO Term Structure Modelling
10:50-11:40Huyên PhamA problem of optimal portfolio/consumption choice in a liquidity risk model with random trading times
11:40-15:00Lunch Break
15:00-15:50Jozef TeugelsChange point analysis of extreme values
16:20-17:10Peter LaurenceSabr stochastic volatility models and asymptotic methods
Fri, September 12, 2008
09:30-10:20Christoph ReisingerModeling and Pricing of Oil Derivatives in an Incomplete Market
10:50-11:40Dirk BechererOptimal portfolio liquidation in illiquid markets with finite resiliency

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